Functional form and spatial dependence in dynamic panels

Functional form and spatial dependence in dynamic panels

This paper proposes a generalized dynamic error component model that simultaneously accounts for the effects of functional form and spatial dependence. Maximum likelihood method is used for model estimation and inference. An empirical illustration using the demand for cigarettes data is given.

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Veröffentlicht in:Economics letters 2006-04, Vol.91 (1), p.138-145
Hauptverfasser: Yang, Zhenlin, Li, Chenwei, Tse, Y.K.
Format: Artikel
Sprache:eng
Schlagworte:
Dynamics
Econometric models
Economic models
Functional form
Maximum likelihood estimation
Model testing
Modelling
Panel data
Spatial correlation
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Beschreibung
Zusammenfassung:This paper proposes a generalized dynamic error component model that simultaneously accounts for the effects of functional form and spatial dependence. Maximum likelihood method is used for model estimation and inference. An empirical illustration using the demand for cigarettes data is given.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2005.11.011